Fair enough, it sucks having a slow car.. it's a serious disadvantage in traffic sometimes.
If you really want to turbo, try to get your hands on a MSP turbo kit. That includes the MSP manifold, turbo, lines, and oil cooler. You'll have to find these parts used but they will make your install exponentially easier than if you went with some sort of DIY kit where you have splice and tap all sorts of lines.
As for fuel management, use the MSP ECU and SS AFC. See this thread about using a non-MP3 ECU and avoiding the VTCS check engine light.
http://www.mazdas247.com/forum/showthread.php?t=123748013
You'll need this check valve installed so your fuel tank doesn't start acting up under boost.
http://www.mazdas247.com/forum/showthread.php?t=95550
And this PCV valve to prevent oil loss.
http://www.mazdas247.com/forum/showthread.php?t=63580
Just keep in mind that with a turbo, things get a lot hotter. An oil cooler is a must as you will either fry the bearings in the turbo or lose lots of oil if you don't get one. A boost and wideband gauge will be your very best friend when it comes to tuning, but keeping an eye on your oil pressure is also very important because the oiling system of these cars is crap. Far from satisfactory for a turbo engine.
http://www.protegefaq.net/msoilcooler/
As far as the intercooler goes, I would suggest the Altered Customs kit. It fits without any major cutting and it's cheap. The HKS SSQV BOV is also a good choice, and as far as intake is concerned you'll need to custom make something or use an SRI. You can't have a CAI with the Alt Cust FMIC.
http://www.alteredcustoms.net/Home.html
There ya go, happy parts hunting.